You can use the collect operation that you have on IntStream instead of boxing it into a Stream<Integer>.

IntStream.range(0, productReferences.length)
         .filter(index -> productsPrice[index] != null)
         .collect(
            HashMap::new,
            (m, i) -> m.put(productReferences[i], callSomeMethod(productsPrice[i])),
            Map::putAll
         );

This won't box every index into an Integer since the consumer part of the collector takes an ObjIntConsumer; so i in the code above is an int. As Holger noted, the initial code, using Collectors.toMap would throw an exception in the case of duplicate keys, when this version would overwrite the value.

You would still need to benchmark the two solutions on your real data to see if that brings an improvement.